enAssessing the External Demand of the Czech Economy: Nowcasting Foreign GDP Using Bridge Equationshttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_18.pdf
Czech National Bank Working Papers by Tomas Adam and Filip NovotnyAssessing the External Demand of the Czech Economy: Nowcasting Foreign GDP Using Bridge Equations2018-12-01T00:00:18ZWe propose an approach to nowcasting foreign GDP growth rates for the Czech economy. For presentational purposes, we focus on three major trading partners: Germany, Slovakia and France. We opt for a simple method which is very general and which has proved successful in the literature: the method based on bridge equation models. A battery of models is evaluated based on a pseudo-real-time forecasting exercise. The results for Germany and France suggest that the models are more successful at backcasting, nowcasting and forecasting than the naive random walk benchmark model. At the same time, the various models considered are more or less successful depending on the forecast horizon. On the other hand, the results for Slovakia are less convincing, possibly due to the stability of the GDP growth rate over the evaluation period and the weak relationship between GDP growth rates and monthly indicators in the training sample.Assessing the External Demand of the Czech Economy: Nowcasting Foreign GDP Using Bridge EquationsFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_18.pdfTomas AdamFilip NovotnyTomas Adam and Filip Novotny2018-12Czech National Bank Working PapersC53E37Off the Radar: Exploring the Rise of Shadow Banking in the EUhttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_16.pdf
Czech National Bank Working Papers by Martin HodulaOff the Radar: Exploring the Rise of Shadow Banking in the EU2018-12-01T00:00:16ZThis paper uses novel ECB/Eurosystem data on non-bank financial intermediation to investigate the potential factors of shadow banking growth for a panel of 24 EU countries. Consistent with several strands of literature, the EU shadow banking system is found to be highly procyclical and positively related to increasing demand of long-term institutional investors, more stringent capital regulation, and faster financial development. In addition, the paper offers two findings that have not been reported in the literature. First, it shows that the relationship between monetary policy and shadow banking growth is level-dependent and may be determined by the relative magnitude of interest rates in the economy. In this respect, two main motives driving the relationship are identified - the &quot;funding cost&quot; motive and the &quot;search for yield&quot; motive. Second, the driving forces of shadow banking differ between the old and new EU countries, largely due to the missing legal framework for securitization in the new members.Off the Radar: Exploring the Rise of Shadow Banking in the EUFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_16.pdfMartin HodulaMartin Hodula2018-12Czech National Bank Working PapersE44E52G21G23The Leverage Ratio and Its Impact on Capital Regulationhttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_15.pdf
Czech National Bank Working Papers by Lukas Pfeifer, Martin Hodula, Libor Holub and Zdenek PikhartThe Leverage Ratio and Its Impact on Capital Regulation2018-12-01T00:00:15ZThe capital regulation reform package proposed for the EU banking sector envisages the introduction of a minimum leverage ratio as a (non-risk-weighted) prudential backstop. In this paper, we use Czech bank-level data to explore the implications of introducing a leverage ratio into the capital regulatory framework. Our results confirm that the capital and leverage ratios complement each other. On the other hand, if a minimum leverage ratio is binding on some institutions, the increase in macroprudential capital buffers does not necessarily lead to a real increase in the capital and resilience of those institutions. We therefore describe possible settings of the macroprudential leverage ratio that would maintain the effectiveness of macroprudential policy. Furthermore, we derive channels through which the capital and leverage ratios might be affected and test the functionality of those channels. We find that the leverage ratio is far less procyclical than the capital ratio.The Leverage Ratio and Its Impact on Capital RegulationFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_15.pdfLibor HolubZdenek PikhartLukáš PfeiferMartin HodulaLukas Pfeifer, Martin Hodula, Libor Holub and Zdenek Pikhart2018-12Czech National Bank Working PapersG21G28What Influences Private Investment? The Case of the Czech Republichttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_14.pdf
Czech National Bank Working Papers by Martin GurtlerWhat Influences Private Investment? The Case of the Czech Republic2018-12-01T00:00:14ZWhat influences private investment in the Czech Republic? This paper arrives at a conclusion based on a survey of fixed-asset purchases in 30,000 non-financial corporations over the period 2008-2015. BVAR models are estimated on aggregates for 19 industries and the whole non-financial economy. As our results show, foreign demand is the most important factor for Czech business investment, especially in manufacturing and tourism. We also find an increased importance of expectations and uncertainty during the period under review. According to our findings, business investment is fostered by a devalued currency and is crowded out by public investment. The most profound crowding-out was seen in manufacturing and agriculture, whereas services, trade, and construction exhibit crowding-in. Finally, EU funds are found to be successful in providing occasional support to private investment.What Influences Private Investment? The Case of the Czech RepublicFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_14.pdfMartin GurtlerMartin Gurtler2018-12Czech National Bank Working PapersC55D22E22H32M21How Do Large Banking Groups Manage the Efficiency of Their Subsidiaries? Evidence from CEEhttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_13.pdf
Czech National Bank Working Papers by Vaclav Hausenblas and Jitka LesanovskaHow Do Large Banking Groups Manage the Efficiency of Their Subsidiaries? Evidence from CEE2018-10-01T00:00:13ZWe analyse the cost efficiency over the period 2002-2015 of subsidiaries of selected international banking groups (IBGs) that built up significant banking businesses in Central and Eastern Europe (CEE) in the 1990s and 2000s. Using Bayesian stochastic efficiency analysis, we find evidence of superior efficiency management by IBGs of their subsidiaries, particularly in the period following the crisis of 2008-2009. We find that the subsidiaries of IBGs were in general more cost-efficient than their peers in CEE and that the difference further increased in the post-crisis period. While the overall heterogeneity of banks in CEE in terms of efficiency increased and remained at a higher level in the post-crisis period, the IBGs were able to get it close to the pre-crisis level or to reduce it even further. Although we find bank efficiency to be relatively persistent, we also find evidence of beta-convergence for all the analysed IBGs towards the estimated long-term mean, which is expected to be significantly higher than that of the control group for the majority of the IBGs.How Do Large Banking Groups Manage the Efficiency of Their Subsidiaries? Evidence from CEEFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_13.pdfVaclav HausenblasJitka LesanovskaVaclav Hausenblas and Jitka Lesanovska2018-10Czech National Bank Working PapersG21G39The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republichttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_12.pdf
Czech National Bank Working Papers by Simona MalovanáThe Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republic2018-10-01T00:00:12ZThis paper studies the pro-cyclicality of risk weights with respect to the business, credit and financial cycles using data for the Czech Republic. The empirical results indicate that risk weights behave pro-cyclically under the IRB approach and acyclically under the STA approach. The pro-cyclical behaviour of IRB risk weights for credit exposures is caused primarily by the procyclicality of risk weights for retail credit exposures, the strongest effects being in the highest and lowest quantiles of risk weights. The risk weights for retail exposures behave pro-cyclically not only with regard to the business cycle, but also with respect to the financial cycle and house price growth.The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech RepublicFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_12.pdfSimona MalovanáSimona Malovaná2018-10Czech National Bank Working PapersC22E32G21G28Central Bank Financial Strength and Inflation: A Meta-Analysishttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/irpn/download/rpn_1_2018.pdf
Czech National Bank Research and Policy Notes by Mojmír Hampl, Tomáš HavránekCentral Bank Financial Strength and Inflation: A Meta-Analysis2018-10-01T00:00:01ZSeveral empirical studies have reported that financially weak central banks tend to tolerate systematically higher inflation. If the effect were genuine, central banks would have to pay attention to their capital levels and could not treat them as a residuum. In this note, we take stock of this literature using the statistical techniques of meta-analysis. We collect 176 estimates of the effect of central bank financial strength on inflation and observe that 86% of them are negative, suggesting that low capital levels indeed lead to higher inflation. However, we show that the literature is plagued by publication bias, the preferential reporting of intuitive and significant results. When we correct the literature for this bias, we obtain no evidence for any interplay between central bank financial strength and inflation. The result is robust to employing various meta-regression and nonparametric selection models.Central Bank Financial Strength and Inflation: A Meta-AnalysisFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/irpn/download/rpn_1_2018.pdfTomáš HavránekMojmír HamplMojmír Hampl, Tomáš Havránek2018-10Czech National Bank Research and Policy NotesC83E58Balance Sheet Implications of the Czech National Bank&#39;s Exchange Rate Commitmenthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_10.pdf
Czech National Bank Working Papers by Michal Franta, Tomáš Holub, Branislav SaxaBalance Sheet Implications of the Czech National Bank&#39;s Exchange Rate Commitment2018-09-01T00:00:10ZWe present projections of the Czech National Bank&#39;s balance sheet after the discontinuation of the exchange rate commitment. Our model addresses the situation of a large central bank balance sheet with assets consisting almost exclusively of foreign exchange reserves in the circumstances of a catching-up economy exhibiting an exchange rate appreciation trend. Apart from the baseline projection, several counter-factual scenarios are discussed. The scenarios concern the evolution of the balance sheet in the cases of no exchange rate commitment and a commitment with earlier discontinuation. The simulated counter-factual duration of negative CNB equity, and thus the period of no profit distribution to the government, does not differ substantially from the baseline. The fiscal implications of the exchange rate commitment are thus estimated to be relatively small and related only to the period after the year 2030. Our stochastic simulations, however, show that the uncertainty bands are very wide. In addition, we show that the simulation tool can be employed to discuss the consequences of a long-run decline in currency in circulation, the composition of the asset side and the resumption of foreign exchange income sales by the central bank.Balance Sheet Implications of the Czech National Bank&#39;s Exchange Rate CommitmentFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_10.pdfMichal FrantaBranislav SaxaTomáš HolubMichal Franta, Tomáš Holub, Branislav Saxa2018-09Czech National Bank Working PapersE47E52E58Estimating the Effective Lower Bound on the Czech National Bank&#39;s Policy Ratehttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_09.pdf
Czech National Bank Working Papers by Dominika Kolcunová, Tomáš HavránekEstimating the Effective Lower Bound on the Czech National Bank&#39;s Policy Rate2018-09-01T00:00:09ZThis paper focuses on the estimation of the effective lower bound on the Czech National Bank&#39;s policy rate. The effective lower bound is determined by the value below which holding and using cash would be preferable to holding deposits with negative yields. This bound is approximated on the basis of the storage, insurance and transport costs of cash and the loss of convenience associated with cashless payments. This estimate is complemented by a calculation based on interest charges reflecting the impact of negative rates on banks&#39; profitability. Overall, we get a mean of slightly below -1%, approximately in the interval (-2.0%, -0.4%). In addition, by means of a vector autoregression we show that the potential of negative rates is not sufficient to deliver monetary policy easing similar in its effects to the impact of the Czech National Bank&#39;s exchange rate commitment during the years 2013-2017.Estimating the Effective Lower Bound on the Czech National Bank&#39;s Policy RateFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_09.pdfDominika KolcunováTomáš HavránekDominika Kolcunová, Tomáš Havránek2018-09Czech National Bank Working PapersE43E44E52E58Sparse Restricted Perception Equilibriumhttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_08.pdf
Czech National Bank Working Papers by Volha Audzei and Sergey SlobodyanSparse Restricted Perception Equilibrium2018-09-01T00:00:08ZIn this paper we study model selection under bounded rationality and the impact of monetary policy on the equilibrium choice of forecasting models. We use the concept of sparse rationality (developed recently by Gabaix, 2014), where paying attention to all possible variables is costly and agents can choose to over- or under-emphasize particular variables, even fully excluding some of them. Our main question is whether an initially mis-specified equilibrium (the restricted perceptions equilibrium, or RPE) is compatible with the equilibrium choice of sparse weights describing the allocation of attention to different variables by the agents inhabiting this RPE. In a simple New Keynesian model, we find that the agents stick to their initial mis-specified AR(1) forecasting model choice when monetary policy is less aggressive or inflation is more persistent. We also identify a region in the parameter space where the agents find it advantageous to pay attention to no variable at all.Sparse Restricted Perception EquilibriumFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_08.pdfVolha AudzeiSergey SlobodyanVolha Audzei and Sergey Slobodyan2018-09Czech National Bank Working PapersD84E31E37Quantifying the Natural Rate of Interest in a Small Open Economy - The Czech Casehttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_07.pdf
Czech National Bank Working Papers by Tibor Hlédik, Jan VlčekQuantifying the Natural Rate of Interest in a Small Open Economy - The Czech Case2018-07-01T00:00:07ZWe identify the natural rate of interest in the Czech Republic as the real rate consistent with output at its equilibrium level and inflation at the target. To identify the rate, we use a (semi-)structural model featuring rational expectations and a forward-looking interest rate rule. Compared to the mainstream literature, the model provides a comprehensive set of cross-restrictions with respect to unobserved variables, including that of the natural rate. Furthermore, we argue that the natural rate of interest in a small open economy is a function of equilibrium real growth adjusted for equilibrium real exchange rate appreciation. Our findings suggest that the natural interest rate in the Czech Republic was around 1 percent in 2017. The current decline of the natural rate from its peak in 2015 mainly reflects the renewed appreciation of the equilibrium real exchange rate on the back of robust real GDP growth.Quantifying the Natural Rate of Interest in a Small Open Economy - The Czech CaseFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_07.pdfJan VlčekTibor HlédikTibor Hlédik, Jan Vlček2018-07Czech National Bank Working PapersC32E43E52O40What Drives the Distributional Dynamics of Client Interest Rates on Consumer Loans in the Czech Republic? A Bank-level Analysishttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_06.pdf
Czech National Bank Working Papers by Václav Brož, Michal HlaváčekWhat Drives the Distributional Dynamics of Client Interest Rates on Consumer Loans in the Czech Republic? A Bank-level Analysis2018-06-01T00:00:06ZWe study the bank-level distributional dynamics and factors of client interest rates on consumer loans in the Czech Republic. We take into account that client interest rates can have different fixation periods, focus on the consumer loans category, which exhibits multimodal client interest rate distributions, and employ an alternative measure to the mean interest rate - the mode measure. We show that in recent years, most banks in the Czech Republic have started to provide new consumer loans at unprecedentedly low client interest rates. The bank-level analysis then reveals that reduced market concentration (increased market competition) and to some extent also accommodative monetary policy and changes in the market for housing loans and mortgages have been driving this development. Our results are in line with the international literature but are novel in the Czech context.What Drives the Distributional Dynamics of Client Interest Rates on Consumer Loans in the Czech Republic? A Bank-level AnalysisFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_06.pdfVáclav BrožMichal HlaváčekVáclav Brož, Michal Hlaváček2018-06Czech National Bank Working PapersC23C46E43G21A Profit-to-Provisioning Approach to Setting the Countercyclical Capital Buffer: The Czech Examplehttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_05.pdf
Czech National Bank Working Papers by Lukáš Pfeifer and Martin HodulaA Profit-to-Provisioning Approach to Setting the Countercyclical Capital Buffer: The Czech Example2018-05-22T00:00:05ZOver the last few years, national macroprudential authorities have developed different strategies for setting the countercyclical capital buffer (CCyB) rate in the banking sector. The existing approaches are based on various indicators used to identify the current phase of the financial cycle. However, to our knowledge, there is no approach that directly takes into consideration banks&#39; prudential behavior over the financial cycle as well as cyclical risks in the banking sector. In this paper, we propose a new profit-to-provisioning approach that can be used in the macroprudential decision-making process. We construct a new set of indicators that largely capture the risk of cyclicality of profit and loan loss provisions. We argue that banks should conserve a portion of the cyclically overestimated profit (non-materialized expected loss) in their capital during a financial boom. We evaluate the performance of our newly proposed indicators using two econometric exercises. Overall, they exhibit good statistical properties, are relevant to the CCyB decision-making process, and may contribute to a more precise assessment of both systemic risk accumulation and risk materialization. We believe that the relevance of the profit-to-provisioning approach and the related set of newly proposed indicators increases under IFRS 9.A Profit-to-Provisioning Approach to Setting the Countercyclical Capital Buffer: The Czech ExampleFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_05.pdfLukáš PfeiferMartin HodulaLukáš Pfeifer and Martin Hodula2018-05Czech National Bank Working PapersE58G21G28Asset Prices in a Production Economy with Long-run and Idiosyncratic Riskhttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_04.pdf
Czech National Bank Working Papers by Ivan SutórisAsset Prices in a Production Economy with Long-run and Idiosyncratic Risk2018-05-22T00:00:04ZThis paper studies risk premia in an incomplete-markets economy with households facing idiosyncratic consumption risk. If the dispersion of idiosyncratic risk varies over the business cycle and households have a preference for early resolution of uncertainty, asset prices will be affected not only by news about current and expected future aggregate consumption (as in models with a representative agent), but also by news about current and future changes in the cross-sectional distribution of individual consumption. I investigate whether this additional effect can help explain high risk premia in a production economy where the aggregate consumption process is endogenous and thus can potentially be affected by the presence of idiosyncratic risk. Analyzing a neoclassical growth model combined with Epstein-Zin preferences and a tractable form of household heterogeneity, I find that countercyclical idiosyncratic risk increases the risk premium, but also effectively lowers the willingness of households to engage in intertemporal substitution and thus changes the dynamics of aggregate consumption. Nevertheless, with the added flexibility of Epstein-Zin preferences, it is possible both to increase risk premia and to maintain the same dynamics of quantities if we allow for higher intertemporal elasticity of substitution at the individual level.Asset Prices in a Production Economy with Long-run and Idiosyncratic RiskFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_04.pdfIvan SutórisIvan Sutóris2018-05Czech National Bank Working PapersE13E21E44G12The Likelihood of Effective Lower Bound Eventshttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_03.pdf
Czech National Bank Working papers by Michal FrantaThe Likelihood of Effective Lower Bound Events2018-05-21T00:00:00ZThis paper provides estimates of the probability of an economy hitting its effective lower bound (ELB) on the nominal interest rate and of the expected duration of such an event for eight advanced economies. To that end, a mean-adjusted panel vector autoregression with static interdependencies and the possibility of regime change is estimated. The simulation procedure produces ELB risk estimates for both the short term, where the current phase of the business cycle plays an important role, and the medium term, where the occurrence of an ELB situation is determined mainly by the equilibrium values of macroeconomic variables. The paper also discusses the ELB event probability estimates with respect to previous approaches used in the literature.The Likelihood of Effective Lower Bound EventsFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_03.pdfMichal FrantaMichal Franta2018-05Czech National Bank Working PapersC11E37E52Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europehttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_02.pdf
Czech National Bank Working papers by Sona Benecka, Ludmila Fadejeva and Martin FeldkircherSpillovers from Euro Area Monetary Policy: A Focus on Emerging Europe2018-05-15T00:00:00ZThis paper investigates the international effects of a euro area monetary policy shock, focusing on countries from Central, Eastern, and Southeastern Europe (CESEE). To that end, we use a global vector autoregressive (GVAR) model and employ shadow rates as a proxy for the monetary policy stance during normal and zero-lower-bound periods. We propose a new way of modeling euro area countries in a multi-country framework, accounting for joint monetary policy, and a novel approach to simultaneously identifying shocks. Our results show that in most euro area and CESEE countries, prices adjust and output falls in response to a euro area monetary tightening, but with a substantial degree of heterogeneity.Spillovers from Euro Area Monetary Policy: A Focus on Emerging EuropeFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_02.pdfMartin FeldkircherLudmila FadejevaSona BeneckaSona Benecka, Ludmila Fadejeva and Martin Feldkircher2018-05Czech National Bank Working PapersC32E32F44O54Non-base Wage Components as a Source of Wage Adaptability to Shocks: Evidence from European Firms, 2010-2013http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_01.pdf
Czech National Bank Working Papers by Jan Babecký, Clémence Berson, Ludmila Fadejeva, Ana Lamo, Petra Marotzke, Fernando Martins, Pawel StrzeleckiNon-base Wage Components as a Source of Wage Adaptability to Shocks: Evidence from European Firms, 2010-20132018-04-01T00:00:01ZThis paper provides evidence on the role of non-base wage components as a channel for firms to adjust labour costs in the event of adverse shocks. It uses data from a firm-level survey for 25 European countries that covers the period 2010-2013. We find that firms subject to nominal wage rigidities, which prevent them from adjusting base wages, are more likely to cut non-base wage components in order to adjust labour costs when needed. Firms thus use non-base wage components as a buffer to overcome base wage rigidity. We further show that while non-base wage components exhibit some degree of downward rigidity, they do so to a lesser extent than base wages.Non-base Wage Components as a Source of Wage Adaptability to Shocks: Evidence from European Firms, 2010-2013Full texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2018_01.pdfAna LamoPawel StrzeleckiLudmila FadejevaFernando MartinsJan BabeckýClémence BersonPetra MarotzkeJan Babecký, Clémence Berson, Ludmila Fadejeva, Ana Lamo, Petra Marotzke, Fernando Martins, Pawel Strzelecki2018-04Czech National Bank Working PapersC81J30J32P5Firm Investment, Financial Constraints and Monetary Transmission: An Investigation with Czech Firm-Level Datahttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_16.pdf
Czech National Bank Working Papers by Oxana Babecká Kucharčuková, Renata PašalićováFirm Investment, Financial Constraints and Monetary Transmission: An Investigation with Czech Firm-Level Data2017-12-01T00:00:16ZThis project investigates the effect of financial constraints and monetary policy on firms&#39; investment behaviour using Czech firm-level data. The empirical specification is based on the dynamic neoclassical investment model, which explains investment by sales and cash flow. In addition, it includes financial constraints and other factors. We differentiate firms according to their size and type of economic activity. We find that indebtedness and availability of liquidity have significant effects on investment. In the post-crisis period firms obtained less additional credit due to greater riskiness and tended to accumulate more liquidity. Expectations about future GDP growth and business sentiment are positively related to investment. At the same time, we observe considerable heterogeneity of the results across sectors. The impact of the short-term real interest rate is highly significant for firms of all sizes and in all important sectors of the Czech economy, reflecting monetary policy effectiveness.Firm Investment, Financial Constraints and Monetary Transmission: An Investigation with Czech Firm-Level DataFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_16.pdfOxana Babecká KucharčukováRenata PašalicováOxana Babecká Kucharčuková, Renata Pašalićová2017-12Czech National Bank Working PapersD22E22E5G3G32Are the Risk Weights of Banks in the Czech Republic Procyclical? Evidence from Wavelet Analysishttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_15.pdf
Czech National Bank Working Papers by Václav Brož, Lukáš Pfeifer, Dominika KolcunováAre the Risk Weights of Banks in the Czech Republic Procyclical? Evidence from Wavelet Analysis2017-12-01T00:00:15ZWe analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider both the business cycle and the financial cycle, and employ wavelet coherence as a means of dynamic correlation analysis. Our results indicate that the risk weights of exposures under the internal ratings-based approach, including risk weights related to exposures secured by real estate collateral, are procyclical with respect to the financial cycle. We also show that the effect of changing asset quality on risk weights is present for the internal ratings-based approach, in line with our expectations based on regulatory standards. Our results can be employed for the purposes of decision-making on the activation of supervisory and macroprudential instruments, including the countercyclical capital buffer.Are the Risk Weights of Banks in the Czech Republic Procyclical? Evidence from Wavelet AnalysisFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_15.pdfDominika KolcunováVáclav BrožLukáš PfeiferVáclav Brož, Lukáš Pfeifer, Dominika Kolcunová2017-12Czech National Bank Working PapersC14E32G21G28K23Wage Dynamics and Financial Performance: Evidence from Czech Firmshttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_14.pdf
Czech National Bank Working Papers by Jan Babecký, Kamil Galuščák, Diana ŽigraiováWage Dynamics and Financial Performance: Evidence from Czech Firms2017-12-01T00:00:14ZThis paper examines how the financial performance of a firm affects its wage policy. For this purpose, we match data on Czech firms from the Wage Dynamics Network survey covering the period 2010-2013 with balance sheet data. Controlling for a number of firm-specific characteristics and the environment in which firms operate, we find that financial performance matters for wage setting: contractual wages are more likely to grow in firms with a higher ratio of cash flow to total assets and in firms that invest more. Conversely, firms that froze or cut contractual wages during the survey period had lower cash flow over total assets, but not necessarily a lower investment ratio. The flexible wage component exhibits a similar pattern, but is more sensitive to demand shocks and firms&#39; financial conditions.Wage Dynamics and Financial Performance: Evidence from Czech FirmsFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_14.pdfDiana ŽigraiováJan BabeckýKamil GaluščákJan Babecký, Kamil Galuščák, Diana Žigraiová2017-12Czech National Bank Working PapersC83J31J41L11Transmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU Countrieshttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_13.pdf
Czech National Bank Working Papers by Peter Claeys and Bořek VašíčekTransmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU Countries2017-12-01T00:00:13ZNumerous recent studies, starting with Bloom (2009), highlight the impact of varying uncertainty levels on economic activity. These studies mostly focus on individual countries, and cross-country evidence is scarce. In this paper, we use a set of (panel) BVAR models to study the effect of uncertainty shocks on economic developments in EU Member States. We explicitly distinguish between domestic, common and global uncertainty shocks and employ new proxies of uncertainty. The domestic uncertainty indicators are derived from the Business and Consumer Surveys administered by the European Commission. The common EU-wide uncertainty is subsequently derived by means of a factor model. Finally, the global uncertainty indicator - inspired by Jurado et al. (2015) - is extracted as a common factor from a broad set of forecast indicators that are not driven by the business cycle. The results suggest that real output in EU countries drops after spikes in uncertainty, mainly as a result of lower investment. Unlike for the U.S., there is little evidence of activity overshooting following this initial fall. The responses to uncertainty shocks vary across Member States. These differences can be attributed not mainly to different shock sizes, but rather to cross-country structural characteristics. Member States with more flexible labour markets and product markets seem to weather uncertainty shocks better. Likewise, a higher manufacturing share and higher economic diversification help dampen the impact of uncertainty shocks. The role of economic openness is more ambiguous.Transmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU CountriesFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_13.pdfPeter ClaeysBořek VašíčekPeter Claeys and Bořek Vašíček2017-12Czech National Bank Working PapersE32G12G35Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curvehttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_12.pdf
Czech National Bank Working Papers by Adam Kučera, Michal Dvořák, Luboš Komárek, Zlatuše KomárkováLonger-term Yield Decomposition: An Analysis of the Czech Government Yield Curve2017-12-01T00:00:12ZThe term structure of yields is an important source of information on market expectations about future macroeconomic developments and investors&#39; risk perceptions and preferences. This paper presents the methodology used by the Czech National Bank to obtain such information. It describes the decomposition of the Czech government bond yield curve into its components. The evolution of those components is interpreted in relation to the macro-financial environment, as embodied by selected variables. The practical use of the decomposition in estimating and interpreting the responses of the Czech government bond yield curve to macroeconomic and financial shocks is presented using a vector autoregression model.Longer-term Yield Decomposition: An Analysis of the Czech Government Yield CurveFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_12.pdfLuboš KomárekAdam KučeraMichal DvořákZlatuše KomárkováAdam Kučera, Michal Dvořák, Luboš Komárek, Zlatuše Komárková2017-12Czech National Bank Working PapersG11G12G23House Prices and Household Consumption: The Case of the Czech Republichttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_11.pdf
Czech National Bank Working Papers by Jan Brůha, Michal Hlaváček, Luboš KomárekHouse Prices and Household Consumption: The Case of the Czech Republic2017-12-01T00:00:11ZIn this paper, we investigate whether movements in property prices have detectable effects on Czech households&#39; consumption and saving decisions. We concentrate on three episodes of movements in house and apartment prices and ask whether property owners have significantly different consumption and saving choices from households living in rented properties. We found that, on average, property owners tend to have a lower propensity to consume and a higher saving rate independently of whether property prices move up or down. This casts doubts on the strength of the collateral channel linking the housing market to the macroeconomy in the Czech Republic.House Prices and Household Consumption: The Case of the Czech RepublicFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_11.pdfLuboš KomárekJan BrůhaMichal HlaváčekJan Brůha, Michal Hlaváček, Luboš Komárek2017-12Czech National Bank Working PapersD12D14E21R31An Empirical Analysis of Macroeconomic Resilience: The Case of the Great Recession in the European Unionhttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_10.pdf
Czech National Bank Working Papers by Jan Brůha, Oxana Babecká KucharčukováAn Empirical Analysis of Macroeconomic Resilience: The Case of the Great Recession in the European Union2017-12-01T00:00:10ZIn this paper, we analyse macroeconomic developments in European economies since the Great Recession. We present evidence that macroeconomic developments in the EU countries can be classified into latent classes. Countries in a given class exhibit a similar pattern of economic and labour market developments during and after the crisis. We then present evidence that the latent classes of countries differ in terms of quality of institutions and regulation. Based on this, we conclude that quality of institutions and regulation are crucial for the resilience of countries to shocks. The most important country characteristics associated with a quick recovery after the initial shock are low protection of temporary contracts, political stability, regulatory quality and pre-crisis fiscal space. On the other hand, other types of employment protection and generosity of unemployment benefits seem to not influence resilience.An Empirical Analysis of Macroeconomic Resilience: The Case of the Great Recession in the European UnionFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_10.pdfJan BrůhaOxana Babecká KucharčukováJan Brůha, Oxana Babecká Kucharčuková2017-12Czech National Bank Working PapersC14E02E65Does Monetary Policy Influence Banks&#39; Perception of Risks?http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_09.pdf
Czech National Bank Working Papers by Simona Malovaná, Dominika Kolcunová, Václav BrožDoes Monetary Policy Influence Banks&#39; Perception of Risks?2017-12-01T00:00:09ZThis paper studies the extent to which monetary policy may affect banks&#39; perception of credit risk and the way banks measure risk under the internal ratings-based approach. Specifically, we analyze the effect of different monetary policy indicators on banks&#39; risk weights for credit risk. We present robust evidence of the existence of the risk-taking channel in the Czech Republic. Further, we show that the recent prolonged period of accommodative monetary policy has been instrumental in establishing this relationship. Finally, we obtain comparable results by extending the analysis to cover all the Visegrad Four countries. The presented findings have important implications for the prudential authority, which should be aware of the possible side-effects of monetary policy on how banks measure risk.Does Monetary Policy Influence Banks&#39; Perception of Risks?Full texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2017_09.pdfDominika KolcunováVáclav BrožSimona MalovanáSimona Malovaná, Dominika Kolcunová, Václav Brož2017-12Czech National Bank Working PapersE52E58G21G28